Information transmission across currency futures markets: Evidence from frequency domain tests
We investigate return and volatility spillovers across the currency futures markets utilizing recently developed frequency domain tests. Our analysis permits to differentiate between permanent and transitory linkages between the markets by examining high and low frequency dynamics. We identify significant informational dependencies between the euro, yen, Swiss franc and pound futures markets, which should be important for market participants and policy makers.
Year of publication: |
2011
|
---|---|
Authors: | Ciner, Cetin |
Published in: |
International Review of Financial Analysis. - Elsevier, ISSN 1057-5219. - Vol. 20.2011, 3, p. 134-139
|
Publisher: |
Elsevier |
Keywords: | Currency futures Volatility spillover Frequency domain |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Energy Shocks and Financial Markets: Nonlinear Linkages
Ciner, Cetin, (2001)
-
Dynamic linkages between trading volume and price movements: Evidence for small firm stocks
Ciner, Cetin, (2003)
-
Information asymmetry, speculation and foreign trading activity : emerging market evidence
Ciner, Cetin, (2008)
- More ...